Optimal Buy/Sell Rules for Correlated Random Walks

DOI10.1239/jap/1208358949zbMath1136.60028OpenAlexW2163354307MaRDI QIDQ5459906

Pieter C. Allaart, Michael Monticino

Publication date: 30 April 2008

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/jap/1208358949

zbMATH Keywords

multiple stoppingcorrelated random walkbuy/sell strategy

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Stopping times; optimal stopping problems; gambling theory (60G40)

Related Items (5)

Two Rationales Behind the ‘Buy-And-Hold or Sell-At-Once’ Strategy ⋮ On a directionally reinforced random walk ⋮ Favorite sites of a persistent random walk ⋮ Optimal Stopping Rules for American and Russian Options in a Correlated Random Walk Model ⋮ CHARACTERIZATIONS OF OPTIMAL POLICIES IN A GENERAL STOPPING PROBLEM AND STABILITY ESTIMATING

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